ترکیب ذخایر ارزی

The aim of this paper is twofold. It first investigates the demand for international reserves using panel data for 32 developing countries during the period 1975 – 2004. To this end, an Error Correction Model (ECM) approach is employed to estimate the empirical model and then a capital asset pricing model (CAMP) is used to determine the composition of the foreign exchange reserves. A dummy variable is included in the model to consider the effect of changing exchange rate system on the demand and the composition of international reserves. The results show that there is a negative relationship between exchange rate flexibility and the demand for international reserves.

The paper presents a model for selecting an optimal foreign exchange Reserves portfolio for Resource Based countries, using mean variance approach. The model described here focuses on the relationship between the composition of Reserves and impact of return and risk of the investment in each foreign currency. Results reveal that the currency composition of Reserves has been influenced by Risk and return associated with holding Reserves assets denominated in different currencies. So that, share of each currency in composition of foreign exchange Reserves have negative relationship with risk of each currency in Reserves asset.